This dissertation argues on the necessity for an efficient and credible recovery and resolution framework for central clearing counterparties (CCPs).Following the 2008 subprime crisis and the failure of Lehman Brothers, several reforms have been undertaken in order to reinforce the strength of the financial system and, in particular, the over the counter (OTC) derivatives market. Two streams of reforms are of particular relevance in the present context: a) The development of resolution regimes for financial institutions, in particular for systemic “too big to fail” banks. The key objectives of these resolution regimes are to ensure the continuity of the critical functions performed by systemic institutions, the preservation of financial stability and the protection of taxpayers (i.e. avoiding public bailouts). This stream completed regulatory initiatives to reinforce the existing prudential framework acknowledging the natural limits of the latter and the observed forbearance by supervisory authorities in the aftermath of the financial crisis. The academic literature analysing the development and implementation of resolution regimes for banks essentially looked at issues such as the respect of the shareholders’ fundamental rights, the existence of appropriate safeguards for creditors and the execution of bail-in operations. b) The obligation to clear centrally OTC derivatives markets in order to prevent and control the possible contagion of risks across the financial system. The objectives of this stream of reform are to increase the transparency of the OTC derivatives markets and reduce the counterparty credit risk in the system by forcing transactions through professional risk managers, i.e. central clearing counterparties (CCPs). This however assumes that CCPs have the capability and the capacity to manage this centralisation of risks. Therefore, the literature showed interest in the risk management practices of CCPs, in particular margining methodologies, and agency problems created by the ownership structure and the loss allocation mechanisms of CCPs, in particular analysing the effects of a CCP’s skin-in-the-game (i.e. own contributions to the loss allocation mechanisms) on the incentives of shareholders and clearing members. Although recent history has been rather merciful in terms of CCPs' failures, the inherent cross-border and international nature of their activities, their level of interconnectedness with other financial institutions and their growing importance following the G20 commitments on OTC derivatives make them critical nodes of the financial system. It is therefore important to consider carefully the recovery and resolution of CCPs that actually stands at the crossroad of the two streams of regulatory reforms mentioned above and completes them. Similarly, this dissertation intends to build the bridge between the literature on CCPs and the literature on banks’ recovery and resolution. It aims at providing a better understanding of the resolution framework developed for CCPs, associated policy choices and possible issues with a specific insight on the situation in Europe. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Целью работы является развитие методических основ финансового планирования и бюджетирования. В магистерской диссертации был предложен методический подход к финансовому планированию и бюджетированию, основанный на структурно-организационном и итерационном методах, включающий в себя унифицированный регламент и методику выбора контрагентов, позволяющий обеспечить согласованность процессов и сократить сроки формирования бюджетов, а также повысить точность установления плановых показателей, что в целом обусловит рост качества планирования. / The aim of the work is to develop the methodological foundations of financial planning and budgeting. In the master's thesis, a methodical approach to financial planning and budgeting was proposed, based on structural, organizational and iterative methods, including a unified regulation and a methodology for selecting counterparties, which allows to ensure the consistency of processes and reduce the time for budgeting, as well as improve the accuracy of setting targets, which in general will lead to an increase in the quality of planning.

Актуальность выбранной темы обусловлена необходимостью поддержки малого и среднего бизнеса в условиях обновленного законодательства. Сервисы, предлагаемые банками, способны минимизировать риски предпринимателей, а также повысить уровень лояльности к банковской системе в целом. Научная новизна заключается в разработке проекта по созданию сервиса по оценке контрагентов, который включает в себя создание авторской методики оценки клиентов и их контрагентов и ее применение на практике. Практическая значимость исследования заключается в разработке программного обеспечения для оценки контрагентов на благонадёжность. Расчет экономической эффективности показал, что после внедрения сервиса процесс обслуживания клиентов банка будет занимать меньше времени в несколько раз. Данный факт положительно скажется на отношении клиентов, их мнение об клиентоориентированности банка. / The relevance of the chosen topic is due to the need to support small and medium-sized businesses in the context of the updated legislation. Services offered by banks are able to minimize the risks of entrepreneurs, as well as increase the level of loyalty to the banking system as a whole. Scientific novelty lies in the development of a project to create a service for the assessment of contractors, which includes the creation of an author's methodology for assessing customers and their counterparties and its application in practice. The practical significance of the study lies in the development of software for evaluating counterparties for reliability. The calculation of economic efficiency showed that after the introduction of the service, the process of servicing the bank's customers will take several times less time. This fact will have a positive effect on the attitude of clients, their opinion on the client-orientedness of the bank.

Цель исследования – реализация проекта по автоматической проверки контрагентов с использованием современных технологий и методов машинного обучения, выявление проблем конкурентного окружения и разработка способов их решения. Исследование также направлено на определение эффективности такого проекта по автоматизации процесса по сравнению с ручными методами проверки контрагентов и определение его потенциальной экономической выгоды. Объект исследования: процесс автоматизации проверки контрагента на предприятии. Основными результатами работы являются выделенные текущие проблемы в процессе автоматизации проверки контрагента, разработанные пути их решения и собственный проект по автоматизации процесса. Практическая значимость исследования заключается в применении авторских предложений по совершенствованию процесса автоматизации проверки контрагента на предприятия. / The purpose of the study is to implement a project to automatically check counterparties using modern technologies and machine learning methods, identify problems in the competitive environment and develop ways to solve them. The study also aims to determine the effectiveness of such a project to automate the process compared to manual methods of verifying counterparties and determine its potential economic benefits. Object of study: the process of automating the verification of a counterparty at an enterprise. The main results of the work are the identified current problems in the process of automating the verification of a counterparty, developed ways to solve them and our own project to automate the process. The practical significance of the study lies in the application of the author’s proposals for improving the process of automating the verification of counterparties at enterprises.

Notre thèse consiste à expliquer, en apportant quelques éléments théoriques, les imperfections des stress tests macro-prudentiels d’EBA/BCE, et de proposer une nouvelle méthodologie de leur application ainsi que deux stress tests spécifiques en complément. Nous montrons que les stress tests macro-prudentiels peuvent être non pertinents lorsque les deux hypothèses fondamentales du modèle de base de Gordy-Vasicek utilisé pour évaluer le capital réglementaire des banques en méthodes internes (IRB) dans le cadre du risque de crédit (portefeuille de crédit asymptotiquement granulaire et présence d’une seule source de risque systématique qui est la conjoncture macro-économique), ne sont pas respectées. Premièrement, ils existent des portefeuilles concentrés pour lesquels les macro-stress tests ne sont pas suffisants pour mesurer les pertes potentielles, voire inefficaces si ces portefeuilles impliquent des contreparties non cycliques. Deuxièmement, le risque systématique peut provenir de plusieurs sources ; le modèle actuel à un facteur empêche la répercussion propre des chocs « macro ».Nous proposons un stress test spécifique de crédit qui permet d’appréhender le risque spécifique de crédit d’un portefeuille concentré, et un stress test spécifique de liquidité qui permet de mesurer l’impact des chocs spécifiques de liquidité sur la solvabilité de la banque. Nous proposons aussi une généralisation multifactorielle de la fonction d’évaluation du capital réglementaire en IRB, qui permet d’appliquer les chocs des macro-stress tests sur chaque portefeuille sectoriel, en stressant de façon claire, précise et transparente les facteurs de risque systématique l’impactant. Cette méthodologie permet une répercussion propre de ces chocs sur la probabilité de défaut conditionnelle des contreparties de ces portefeuilles et donc une meilleure évaluation de la charge en capital de la banque. / Our thesis consists in explaining, by bringing some theoretical elements, the imperfections of EBA / BCE macro-prudential stress tests, and proposing a new methodology of their application as well as two specific stress tests in addition. We show that macro-prudential stress tests may be irrelevant when the two basic assumptions of the Gordy-Vasicek core model used to assess banks regulatory capital in internal methods (IRB) in the context of credit risk (asymptotically granular credit portfolio and presence of a single source of systematic risk which is the macroeconomic conjuncture), are not respected. Firstly, they exist concentrated portfolios for which macro-stress tests are not sufficient to measure potential losses or even ineffective in the case where these portfolios involve non-cyclical counterparties. Secondly, systematic risk can come from several sources; the actual one-factor model doesn’t allow a proper repercussion of the “macro” shocks. We propose a specific credit stress test which makes possible to apprehend the specific credit risk of a concentrated portfolio, as well as a specific liquidity stress test which makes possible to measure the impact of liquidity shocks on the bank’s solvency. We also propose a multifactorial generalization of the regulatory capital valuation model in IRB, which allows applying macro-stress tests shocks on each sectorial portfolio, stressing in a clear, precise and transparent way the systematic risk factors impacting it. This methodology allows a proper impact of these shocks on the conditional probability of default of the counterparties of these portfolios and therefore a better evaluation of the capital charge of the bank.